The Objective Function of Simulation Estimators Near the Boundary of the Unstable Region of the Parameter Space
研究动态模拟估计中稳定性约束的作用，发现模拟目标函数自带惩罚机制可忽略稳定性约束，但需确保辅助模型动态稳定，否则目标函数会异常。
The paper examines the role of stability constraints in estimation by dynamic simulation. In particular, it analyzes the behavior of the objective function on either side of the boundary of the stability region of the parameter space. The main finding is that stability constraints may be ignored because the simulation-based objective function contains a built-in penalty to enforce stability. A key caveat, however, is that the dynamic stability of the auxiliary model that defines the moment conditions must be checked and enforced. An attempt to fit via simulation to moments defined by a dynamically unstable auxiliary model can be expected to lead to an ill-behaved objective function. © 1998 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology